发布求助
文献互助 智能选刊 最新文献

Journal of Empirical Finance最新文献

筛选
英文 中文
Option-implied idiosyncratic skewness and expected returns: Mind the long run 期权隐含的特殊偏度和预期回报：注意长期
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-09-01 Epub Date: 2025-08-13 DOI: 10.1016/j.jempfin.2025.101642
Deshui Yu , Difang Huang , Mingtao Zhou
{"title":"Option-implied idiosyncratic skewness and expected returns: Mind the long run","authors":"Deshui Yu ,&nbsp;Difang Huang ,&nbsp;Mingtao Zhou","doi":"10.1016/j.jempfin.2025.101642","DOIUrl":"10.1016/j.jempfin.2025.101642","url":null,"abstract":"<div><div>This article examines the time-series predictive ability of the monthly option-implied idiosyncratic skewness (<span><math><mrow><mi>S</mi><mi>k</mi><mi>e</mi><mi>w</mi></mrow></math></span>) for the aggregate stock market. We find that <span><math><mrow><mi>S</mi><mi>k</mi><mi>e</mi><mi>w</mi></mrow></math></span> is a strong predictor of the U.S. equity premium using both in-sample and out-of-sample tests at forecast horizons up to 36 months over the period from January 1996 to December 2021. In comparison, <span><math><mrow><mi>S</mi><mi>k</mi><mi>e</mi><mi>w</mi></mrow></math></span> outperforms the previously used financial and macroeconomic variables. Furthermore, combining information in the transitional predictors with <span><math><mrow><mi>S</mi><mi>k</mi><mi>e</mi><mi>w</mi></mrow></math></span> can further improve the forecasting performance than using <span><math><mrow><mi>S</mi><mi>k</mi><mi>e</mi><mi>w</mi></mrow></math></span> alone. We provide two explanations for the documented predictability. First, <span><math><mrow><mi>S</mi><mi>k</mi><mi>e</mi><mi>w</mi></mrow></math></span> exhibits strong procyclical behavior and consistently declines ahead of economic downturns. Second, <span><math><mrow><mi>S</mi><mi>k</mi><mi>e</mi><mi>w</mi></mrow></math></span> acts as a forward-looking signal of investor sentiment and disagreement—positive shocks to <span><math><mrow><mi>S</mi><mi>k</mi><mi>e</mi><mi>w</mi></mrow></math></span> significantly increase both future investor sentiment and disagreement, with effects that persist over several horizons.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101642"},"PeriodicalIF":2.4,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144911818","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
(In)Attention: distracted shareholders and corporate innovation 注意力：分散的股东和企业创新
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-09-01 Epub Date: 2025-05-27 DOI: 10.1016/j.jempfin.2025.101634
Jing Zhao
{"title":"(In)Attention: distracted shareholders and corporate innovation","authors":"Jing Zhao","doi":"10.1016/j.jempfin.2025.101634","DOIUrl":"10.1016/j.jempfin.2025.101634","url":null,"abstract":"<div><div>Following Kempf et al. (2017), this study employs an identification strategy that exploits exogenous shocks to unrelated parts of institutional shareholders’ portfolios to measure “distraction.” I find institutional shareholder “distraction” significantly and positively affects future innovation output and input. This positive effect exhibits considerable cross-sectional and intertemporal heterogeneity. Further, the positive effect is stronger in firms where institutional shareholder monitoring is less important or efficient, or firms subject to greater managerial myopia. These include innovative firms, firms with lower product market competition, weaker managerial power and stronger monitoring, and lower institutional ownership such that any given distraction is more impactful. Consequently, distraction enhances shareholder value through its positive impact on innovation. Taken together, the evidence suggests that managers respond to reduced myopic pressures, induced by exogenous shocks to institutional investors’ portfolios that shift their attention away, by pursuing long-term, risky and value-increasing investments such as innovation. Potential limitations of this study and their implications for future research are also thoroughly discussed.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101634"},"PeriodicalIF":2.1,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144563623","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Default-probability-implied credit ratings for Chinese firms 违约概率隐含的中国企业信用评级
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-09-01 Epub Date: 2025-08-07 DOI: 10.1016/j.jempfin.2025.101644
Xiangzhen Li , Shida Liu , Hao Wang
{"title":"Default-probability-implied credit ratings for Chinese firms","authors":"Xiangzhen Li ,&nbsp;Shida Liu ,&nbsp;Hao Wang","doi":"10.1016/j.jempfin.2025.101644","DOIUrl":"10.1016/j.jempfin.2025.101644","url":null,"abstract":"<div><div>This paper estimates real-time probabilities of default (PDs) for Chinese firms and assigns PD-implied ratings benchmarked to the historical default rates of S&amp;P rating categories. PD-implied ratings tend to be lower and more granular than those issued by domestic credit rating agencies (DCRAs). They outperform DCRA ratings in predicting defaults and offer complementary information in credit price discovery. In terms of information content, PD-implied ratings incorporate richer and more persistent cashflow information than DCRA ratings do. Contributing factors such as implicit government guarantees and the moral hazard inherent in the issuer-pays business model play a significant role in elevating DCRA ratings, leading to greater divergence from PD-implied ratings and, consequently, differences in default prediction performance.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101644"},"PeriodicalIF":2.4,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144852837","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Unlocking predictive potential: The frequency-domain approach to equity premium forecasting 解锁预测潜力：股票溢价预测的频域方法
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-09-01 Epub Date: 2025-08-29 DOI: 10.1016/j.jempfin.2025.101648
Gonçalo Faria , Fabio Verona
{"title":"Unlocking predictive potential: The frequency-domain approach to equity premium forecasting","authors":"Gonçalo Faria ,&nbsp;Fabio Verona","doi":"10.1016/j.jempfin.2025.101648","DOIUrl":"10.1016/j.jempfin.2025.101648","url":null,"abstract":"<div><div>This paper explores the out-of-sample forecasting performance of 25 equity premium predictors over a sample period from 1973 to 2023. While conventional time-series methods reveal that only one predictor demonstrates significant out-of-sample predictive power, frequency-domain analysis uncovers additional predictive information hidden in the time series. Nearly half of the predictors exhibit statistically and economically meaningful predictive performance when decomposed into frequency components. The findings suggest that frequency-domain techniques can extract valuable insights that are often missed by traditional methods, enhancing the accuracy of equity premium forecasts.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101648"},"PeriodicalIF":2.4,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144916855","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Cross-market volatility forecasting with attention-based spatial–temporal graph convolutional networks 基于注意力的时空图卷积网络跨市场波动预测
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-09-01 Epub Date: 2025-07-29 DOI: 10.1016/j.jempfin.2025.101639
Jue Gong, Gang-Jin Wang, Yang Zhou, Chi Xie
{"title":"Cross-market volatility forecasting with attention-based spatial–temporal graph convolutional networks","authors":"Jue Gong,&nbsp;Gang-Jin Wang,&nbsp;Yang Zhou,&nbsp;Chi Xie","doi":"10.1016/j.jempfin.2025.101639","DOIUrl":"10.1016/j.jempfin.2025.101639","url":null,"abstract":"<div><div>We propose a cross-market volatility forecasting framework by applying attention-based spatial–temporal graph convolutional network model (ASTGCN) to forecast future volatility of stock indices in 18 financial markets. In our work, we construct cross-market volatility networks to integrate interrelations among financial markets and the corresponding features of each market. ASTGCN combines the spatial–temporal attention mechanisms with the spatial–temporal convolutions to simultaneously capture the dynamic spatial–temporal characteristics of global volatility data. Compared with competitive models, ASTGCN exhibits superiority in multivariate predictive accuracies under multiple forecasting horizons. Our proposed framework demonstrates outstanding stability through several robustness checks. We also inspect the training process of ASTGCN by extracting spatial attention matrices and find that interrelations among global financial markets perform differently in tranquil and turmoil periods. Our study levitates empirical findings in financial networks to practical application with a novel forecasting method in the deep learning community.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101639"},"PeriodicalIF":2.4,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144757869","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Predicting risk premiums: A constraint-based model 预测风险溢价：一个基于约束的模型
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-09-01 Epub Date: 2025-08-29 DOI: 10.1016/j.jempfin.2025.101647
Ying Yuan , Yong Qu , Tianyang Wang
{"title":"Predicting risk premiums: A constraint-based model","authors":"Ying Yuan ,&nbsp;Yong Qu ,&nbsp;Tianyang Wang","doi":"10.1016/j.jempfin.2025.101647","DOIUrl":"10.1016/j.jempfin.2025.101647","url":null,"abstract":"<div><div>This research introduces a novel constraint-based model framework for predicting risk premiums, thoroughly examining the mechanism and limitations of existing models in the literature and leveraging advanced machine learning techniques. The proposed framework effectively captures the regime-dependent forecasting characteristics. It incorporates the information content of predictive regression, “naive” historical average model, and zero value model, significantly reducing model uncertainty and parameter instability across univariate and multivariate predictions. Empirical analysis demonstrates the superiority of our strategy in terms of out-of-sample forecasting performance over a variety of competing models and under different market conditions, highlighting the robustness of our results. We further substantiate the validity of considering the market regime as an economic state variable and justify the rationality of our constraint-based model in elucidating the source of the improved predictability. Our study holds significant implications for financial and economic research, as well as practical applications in portfolio management and risk assessment.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101647"},"PeriodicalIF":2.4,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144925493","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Tick size and firm financing decisions: Evidence from a natural experiment 蜱虫大小和公司融资决策：来自自然实验的证据
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-09-01 Epub Date: 2025-08-25 DOI: 10.1016/j.jempfin.2025.101651
Yangyang Chen , Jeffrey Ng , Emmanuel Ofosu , Xin Yang
{"title":"Tick size and firm financing decisions: Evidence from a natural experiment","authors":"Yangyang Chen ,&nbsp;Jeffrey Ng ,&nbsp;Emmanuel Ofosu ,&nbsp;Xin Yang","doi":"10.1016/j.jempfin.2025.101651","DOIUrl":"10.1016/j.jempfin.2025.101651","url":null,"abstract":"<div><div>Using the SEC’s 2016 Tick Size Pilot Program (TSPP) as a natural experiment, we investigate the effects of a tick size increase on firms’ choice of equity versus debt financing. We find that after the program’s implementation, TSPP-affected firms show a significant increase in equity issuance relative to that of debt. This finding is consistent with a reduction in adverse selection in equity financing due to more acquisition of fundamental information by these firms’ investors. In support of this inference, we show that the increase is concentrated among firms with investors that increase their information acquisition. We also find that the effect is more pronounced for firms that, prior to the program, have a higher level of concern about adverse selection in equity financing. Our study offers the novel insight that a tick size increase can affect firms’ financing choices because the increased tick size generates incentives for investors to acquire more fundamental information.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101651"},"PeriodicalIF":2.4,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144911817","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Behavioral biases, information frictions and interest rate expectations 行为偏差、信息摩擦和利率预期
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-09-01 Epub Date: 2025-07-22 DOI: 10.1016/j.jempfin.2025.101637
George Bulkley , Richard D.F. Harris , Vivekanand Nawosah
{"title":"Behavioral biases, information frictions and interest rate expectations","authors":"George Bulkley ,&nbsp;Richard D.F. Harris ,&nbsp;Vivekanand Nawosah","doi":"10.1016/j.jempfin.2025.101637","DOIUrl":"10.1016/j.jempfin.2025.101637","url":null,"abstract":"<div><div>We use expectations of the short rate inferred from the term structure of interest rates to test several well-known models of behavioral biases and information frictions. We classify signals about future short rates by their cost of acquisition and find evidence of overreaction to high-cost signals and underreaction to low-cost signals, providing support for the overconfidence bias. We show that our results are unlikely to be driven by time-varying risk premia. The biases are so large that the market’s forecast errors are larger at all horizons than for forecasts obtained by assuming that the short rate follows a random walk.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101637"},"PeriodicalIF":2.4,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144724020","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A robust latent factor model for high-dimensional portfolio selection 高维投资组合选择的稳健潜在因素模型
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-09-01 Epub Date: 2025-05-13 DOI: 10.1016/j.jempfin.2025.101623
Fangquan Shi , Lianjie Shu , Xinhua Gu
{"title":"A robust latent factor model for high-dimensional portfolio selection","authors":"Fangquan Shi ,&nbsp;Lianjie Shu ,&nbsp;Xinhua Gu","doi":"10.1016/j.jempfin.2025.101623","DOIUrl":"10.1016/j.jempfin.2025.101623","url":null,"abstract":"<div><div>Portfolio selection, faced with large volatile data sets of strongly correlated asset returns, is prone to unstable portfolio weights and serious estimation error. To attenuate this problem, our work proposes a new latent factor model equipped with both a suitable robust estimator to deal with cellwise data contamination and a diagonally-dominant (DD) covariance structure to account for cross-sectional dependence among residual returns. The proposed robust DD model is found to compare favorably with various competitors from the literature in terms of out-of-sample portfolio performance across real-world data sets.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101623"},"PeriodicalIF":2.1,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144139764","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
High frequency online inflation and term structure of interest rates: Evidence from China 高频在线通货膨胀与利率期限结构：来自中国的证据
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-09-01 Epub Date: 2025-05-23 DOI: 10.1016/j.jempfin.2025.101626
Tao Zhang , Ke Tang , Taoxiong Liu , Tingfeng Jiang
{"title":"High frequency online inflation and term structure of interest rates: Evidence from China","authors":"Tao Zhang ,&nbsp;Ke Tang ,&nbsp;Taoxiong Liu ,&nbsp;Tingfeng Jiang","doi":"10.1016/j.jempfin.2025.101626","DOIUrl":"10.1016/j.jempfin.2025.101626","url":null,"abstract":"<div><div>In the digital era, the information value of online prices, characterized by weak price stickiness and high sensitivity to economic shocks, deserves more attention. This paper integrates the high-frequency online inflation rate into the dynamic Nelson-Siegel (DNS) model to explore its relationship with the term structure of interest rates. The empirical results show that the weekly online inflation significantly predicts the yield curve, especially the slope factor, whereas the monthly official inflation cannot predict the yield curve and is instead predicted by the yield curve factors. The mechanism analysis reveals that, due to low price stickiness, online inflation is more sensitive to short-term economic fluctuations and better reflects money market liquidity, thereby having significant predictive power for short-term interest rates and the slope factor. Specifically, online inflation for non-durable goods and on weekdays shows stronger predictive power for the slope factor. The heterogeneity in price stickiness across these categories explains the varying impacts on the yield curve.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101626"},"PeriodicalIF":2.1,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144170805","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信
小红书